The article looks at how changes in the stock market index affect stock returns on the Zagreb Stock Exchange. The researchers used event study methodology to analyze abnormal returns for stocks leaving, entering, and staying in the index. They found that when stocks are removed from the index, their returns tend to decrease, supporting the idea of price pressure. Additionally, the study showed that index composition changes have different effects on stock returns. This is the first study of its kind on the Croatian stock market, suggesting more research is needed in the future.